| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 84.0% | 84.0% |
| Cumulative Return | 2.98% | 15.92% |
| CAGR﹪ | 12.51% | 80.84% |
| Sharpe | 0.02 | 0.04 |
| Prob. Sharpe Ratio | 67.2% | 79.71% |
| Smart Sharpe | 0.02 | 0.04 |
| Sortino | 0.03 | 0.06 |
| Smart Sortino | 0.03 | 0.06 |
| Sortino/√2 | 0.02 | 0.04 |
| Smart Sortino/√2 | 0.02 | 0.04 |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -6.46% | -14.25% |
| Longest DD Days | 15 | 14 |
| Volatility (ann.) | 0.38% | 1.06% |
| R^2 | 0.76 | 0.76 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.94 | 5.67 |
| Skew | 0.04 | 0.67 |
| Kurtosis | 168.11 | 374.34 |
| Expected Daily | 0.0% | 0.0% |
| Expected Monthly | 0.99% | 5.05% |
| Expected Yearly | 2.98% | 15.92% |
| Kelly Criterion | 3.69% | 3.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.03% | -0.09% |
| Expected Shortfall (cVaR) | -0.03% | -0.09% |
| Max Consecutive Wins | 17 | 17 |
| Max Consecutive Losses | 12 | 12 |
| Gain/Pain Ratio | 0.15 | 0.32 |
| Gain/Pain (1M) | 1.21 | 2.88 |
| Payoff Ratio | 0.75 | 0.75 |
| Profit Factor | 1.01 | 1.01 |
| Common Sense Ratio | 1.01 | 1.02 |
| CPC Index | 0.44 | 0.44 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 14.47 | 5.27 |
| Outlier Loss Ratio | 7.58 | 2.79 |
| MTD | -2.69% | -6.13% |
| 3M | 2.98% | 15.92% |
| 6M | 2.98% | 15.92% |
| YTD | 2.98% | 15.92% |
| 1Y | 2.98% | 15.92% |
| 3Y (ann.) | 12.51% | 80.84% |
| 5Y (ann.) | 12.51% | 80.84% |
| 10Y (ann.) | 12.51% | 80.84% |
| All-time (ann.) | 12.51% | 80.84% |
| Best Day | 0.96% | 3.19% |
| Worst Day | -0.93% | -3.04% |
| Best Month | 4.87% | 11.36% |
| Worst Month | -2.69% | -6.13% |
| Best Year | 2.98% | 15.92% |
| Worst Year | 2.98% | 15.92% |
| Avg. Drawdown | -0.12% | -0.53% |
| Avg. Drawdown Days | 0 | 0 |
| Recovery Factor | 0.46 | 1.12 |
| Ulcer Index | 0.02 | 0.04 |
| Serenity Index | 0.01 | 0.03 |
| Avg. Up Month | 2.89% | 11.13% |
| Avg. Down Month | -2.69% | -6.13% |
| Win Days | 58.83% | 58.72% |
| Win Month | 66.67% | 66.67% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 100.0% | 100.0% |
| Beta | 0.31 | - |
| Alpha | -0.0 | - |
| Correlation | 86.9% | - |
| Treynor Ratio | 9.64% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 15.92 | 2.98 | 0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-21 | 2022-10-31 | -6.46 | 10 |
| 2022-08-04 | 2022-08-20 | -3.64 | 15 |
| 2022-09-07 | 2022-09-15 | -2.57 | 7 |
| 2022-09-25 | 2022-10-02 | -2.47 | 6 |
| 2022-08-30 | 2022-09-07 | -1.90 | 7 |
| 2022-10-13 | 2022-10-15 | -1.88 | 2 |
| 2022-09-22 | 2022-09-23 | -1.86 | 0 |
| 2022-10-15 | 2022-10-21 | -1.84 | 5 |
| 2022-08-29 | 2022-08-30 | -1.80 | 1 |
| 2022-08-22 | 2022-08-28 | -1.80 | 6 |